Graphical Assistant Grouped Network Autoregression Model: a Bayesian Nonparametric Recourse
图结构辅助的分组网络自回归模型:贝叶斯非参数方法
Vector autoregression model is ubiquitous in classical time series data analysis. With the rapid advance of social network sites, time series data over latent graph is becoming increasingly popular. In this paper, we develop a novel Bayesian grouped network autoregression model to simultaneously estimate group information (number of groups and group configurations) and group-wise parameters. Specifically, a graphically assisted Chinese restaurant process is incorporated…